Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 6 | 3 | 3 |
| Score | -3.97 | -4.99 | -7.54 |
| Market Cap (Millions USD) | 2377.66 | 2070.26 | 2002.63 |
| Predicted Beta | 0.16 | 0.15 | 0.17 |
| Idiosyncratic Volatility | 1.27 | 0.86 | 1.77 |
Annualized return and volatility
| EWU | |
|---|---|
| Annualized Return | 0.0244 |
| Annualized Std Dev | 0.2265 |
| Annualized Sharpe (Rf=0%) | 0.1075 |
Row
Daily Return Statistics
| EWU | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1202 |
| Quartile 1 | -0.0061 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1706 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | -0.0322 |
| Kurtosis | 12.5975 |
Downside Risk
| EWU | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.6399 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0198 |
| Modified ES (95%) | -0.0198 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2014-04-30 | -0.6399 | 1663 | 348 | 1315 |
| 2000-01-04 | 2003-03-12 | 2005-02-14 | -0.4678 | 1308 | 814 | 494 |
| 2014-07-07 | 2016-02-11 | 2018-01-17 | -0.2934 | 906 | 413 | 493 |
| 2018-01-29 | 2018-12-24 | NA | -0.2114 | 490 | 233 | NA |
| 2007-07-13 | 2007-08-16 | 2007-10-11 | -0.1336 | 65 | 25 | 40 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWU | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.0 | 2.0 | 0.0 | -0.6 | 0.3 | 0.0 | 0.0 | 3.1 | 0.0 | -2.7 | -0.7 | 0.0 | 1.2 |
| 2001 | -0.8 | -0.4 | 0.0 | 0.4 | -1.0 | 0.0 | 1.5 | 0.0 | -1.3 | 2.3 | 0.0 | 0.0 | 0.7 |
| 2002 | -0.1 | 2.5 | 1.9 | -0.1 | 0.0 | 1.4 | -4.3 | 0.0 | 2.7 | 0.2 | 0.0 | 0.0 | 4.1 |
| 2003 | 0.0 | 0.0 | 1.9 | -0.6 | 0.0 | 0.6 | 0.4 | 0.0 | 2.6 | 0.0 | 2.3 | 0.0 | 7.3 |
| 2004 | 0.0 | 1.3 | 0.9 | 0.0 | 0.8 | -1.5 | 0.0 | 0.2 | 1.0 | 0.7 | 2.3 | 0.0 | 5.7 |
| 2005 | 1.2 | 0.5 | -0.4 | 0.0 | 0.0 | -0.3 | 1.4 | 1.5 | 0.0 | -0.1 | 1.8 | 0.0 | 5.8 |
| 2006 | 0.7 | 0.8 | 0.0 | -0.5 | 0.2 | 0.0 | -0.7 | 0.6 | 0.0 | 0.0 | -0.1 | 0.0 | 1.0 |
| 2007 | 0.6 | -1.4 | 0.0 | -0.2 | 0.9 | 0.0 | 0.1 | 0.0 | 1.6 | -2.4 | 0.0 | 0.0 | -0.8 |
| 2008 | 1.4 | 0.0 | 3.6 | 0.7 | 0.0 | -1.0 | -0.7 | 0.0 | 0.9 | 0.0 | -10.3 | 0.0 | -6.0 |
| 2009 | 0.0 | 0.0 | 2.7 | 2.7 | 2.8 | 0.9 | 0.0 | -1.7 | -2.2 | 0.0 | 2.6 | 0.0 | 8.0 |
| 2010 | 0.5 | -0.6 | 1.9 | 0.0 | -0.8 | 1.2 | 0.0 | 3.3 | 1.7 | 0.4 | 2.7 | 0.0 | 10.7 |
| 2011 | 2.5 | -2.1 | 1.3 | 0.0 | -2.7 | 1.0 | -0.6 | -0.6 | 0.0 | -2.5 | -0.6 | 0.0 | -4.4 |
| 2012 | 1.7 | 1.4 | 0.0 | 0.8 | -1.7 | 0.0 | 0.6 | 0.0 | 0.6 | 1.3 | 0.0 | 0.0 | 4.8 |
| 2013 | 0.0 | -0.5 | -0.6 | -0.2 | 0.0 | 1.2 | 0.8 | 0.0 | -0.1 | -0.5 | 0.0 | 0.0 | 0.2 |
| 2014 | 0.0 | 0.0 | 0.3 | 0.3 | 0.0 | 1.0 | -0.8 | 0.0 | -1.2 | 0.0 | 0.1 | 0.0 | -0.4 |
| 2015 | 0.0 | 0.0 | 0.7 | 0.1 | -1.0 | 0.2 | 0.0 | -3.8 | 0.4 | 0.0 | 1.0 | 0.0 | -2.5 |
| 2016 | 0.1 | 2.6 | -1.0 | 0.0 | -0.6 | 0.0 | -1.1 | 0.6 | 0.0 | -0.3 | 0.1 | 0.0 | 0.5 |
| 2017 | 0.5 | 0.5 | 0.0 | 0.1 | 0.7 | 0.0 | 0.7 | 0.4 | 0.0 | -0.5 | -0.3 | 0.0 | 2.1 |
| 2018 | 0.0 | -1.1 | 0.0 | -0.5 | 0.7 | 0.0 | -1.3 | 0.0 | -0.1 | 2.0 | 0.0 | 0.0 | -0.3 |
| 2019 | 0.3 | 0.2 | 1.3 | -1.1 | 0.0 | 0.5 | -1.2 | 0.0 | -1.1 | 0.5 | 0.0 | 0.2 | -0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
